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US TSYS: US Tsys Futures Edge Higher, Curve Flattens, Huge SOFR Block Traded

US TSYS
USGlobalBulletMarketsFixed Income BulletsRegionNorth America
  • Tsys futures have continued the move higher, as the market speculates the fed will cut more than 25bps on Wednesday. Curve initially bull-steepened before the short-end gave up some of the sessions gains, while the longer-end closed towards session's best levels.
  • TUZ4 closed +0-01¼ at 104-14+, while TYZ4 closed +0-04+ at 115-18 just shy of major resistance at 115-23+ (Sep 11 high).
  • Cash tsys curve bull-flattened, with yields 2-5bps lower. The 2yr closed -3.2bps at 3.551%, while the 10yr closed -3.4bps at 3.618%, the 2s10s made news highs of 9.809, before closing the session -0.220 at 6.465.
  • Projected rate hikes through year end look largely steady vs. Monday levels (*) : Sep'24 cumulative -41.0bp (-40.6bp), Nov'24 cumulative -78.2bp (-79.1bp), Dec'24 -119.8bp (-120.0bp).
  • There was a huge SOFR steepener blocked overnight, DV01 $2m, position supporting more aggressive rate cut guidance from the Fed, before moderating policy in Q1 '26.
  • Today we have Retail Sales, Industrial Production and a 20y bond auction
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  • Tsys futures have continued the move higher, as the market speculates the fed will cut more than 25bps on Wednesday. Curve initially bull-steepened before the short-end gave up some of the sessions gains, while the longer-end closed towards session's best levels.
  • TUZ4 closed +0-01¼ at 104-14+, while TYZ4 closed +0-04+ at 115-18 just shy of major resistance at 115-23+ (Sep 11 high).
  • Cash tsys curve bull-flattened, with yields 2-5bps lower. The 2yr closed -3.2bps at 3.551%, while the 10yr closed -3.4bps at 3.618%, the 2s10s made news highs of 9.809, before closing the session -0.220 at 6.465.
  • Projected rate hikes through year end look largely steady vs. Monday levels (*) : Sep'24 cumulative -41.0bp (-40.6bp), Nov'24 cumulative -78.2bp (-79.1bp), Dec'24 -119.8bp (-120.0bp).
  • There was a huge SOFR steepener blocked overnight, DV01 $2m, position supporting more aggressive rate cut guidance from the Fed, before moderating policy in Q1 '26.
  • Today we have Retail Sales, Industrial Production and a 20y bond auction